you only really need CD1, that'll give you a base system which you can install from. I did once have a small problem with one computer, and had no cd burner available, so you can even install debian from a floppy disk!
that will allow you to make a floppy image to boot off, then the rest can be downloaded from the Internet - good if you have no cd's cd burner's or are a real Scrooge and don't want to waste a cd.
i did once download the entire set, but they became obsolete pretty soon, and so dumped them in favor of downloading them as and when packages are needed.
Hope this helps